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q-fin.MF2021
Closed-Loop Nash Competition for Liquidity
Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this…
q-fin.MF2018
Protecting Pegged Currency Markets from Speculative Investors
Eyal Neuman, Alexander Schied
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the…